نوع مقاله : مقاله پژوهشی

نویسندگان

1 استادیار گروه اقتصاد دانشکده علوم اداری و اقتصاد دانشگاه اصفهان

2 استادیار گروه ریاضی کاربردی و علوم کامپیوتر دانشکده ریاضی و آمار دانشگاه اصفهان اصفهان ایران.

3 کارشناسی ارشد گروه اقتصاد دانشکده علوم اداری و اقتصاد دانشگاه اصفهان

چکیده

Comparison of GARCH Family Models in Value at Risk and Conditional Value at Risk Estimation _ the Case of the Tehran Exchange Price Index





Abstract:

Several criteria have been introduced in recent decades to measure risk, and each of them is somehow viewed as uncertainty, and some of them are complementary. By the advancement of mathematical sciences and statistics in the field of evaluating undesirable risks, in 1996 the criterion of Value at Risk was introduced to measure risk that was welcomed by investors and financial analysts.

Therefore, the purpose of this study is to compare the average values of Value at Risk and Conditional Value at Risk estimated by five of GARCH patterns for the Tehran Stock Exchange Index, which is the property of Arch is seen in them. According to the case of index fat tail in the probability distribution tail of financial data confirmed, in addition to the normal distribution, the T_Studend distribution is used.

The result suggest that, T_Student distribution has a more favorable performance to estimation Value at Risk and Conditional Value at Risk. Also, there is no significant difference between the mean of Value at Risk and Conditional Value at Risk that estimated by different GARCH patterns.



Keywords: Value at Risk, Conditional Value at Risk, GARCH, models, Tehran Stock Exchange Index,













Comparison of GARCH Family Models in Value at Risk and Conditional Value at Risk Estimation _ the Case of the Tehran Exchange Price Index





Abstract:

Several criteria have been introduced in recent decades to measure risk, and each of them is somehow viewed as uncertainty, and some of them are complementary. By the advancement of mathematical sciences and statistics in the field of evaluating undesirable risks, in 1996 the criterion of Value at Risk was introduced to measure risk that was welcomed by investors and financial analysts.

Therefore, the purpose of this study is to compare the average values of Value at Risk and Conditional Value at Risk estimated by five of GARCH patterns for the Tehran Stock Exchange Index, which is the property of Arch is seen in them. According to the case of index fat tail in the probability distribution tail of financial data confirmed, in addition to the normal distribution, the T_Studend distribution is used.

The result suggest that, T_Student distribution has a more favorable performance to estimation Value at Risk and Conditional Value at Risk. Also, there is no significant difference between the mean of Value at Risk and Conditional Value at Risk that estimated by different GARCH patterns.



Keywords: Value at Risk, Conditional Value at Risk, GARCH, models, Tehran Stock Exchange Index,













Comparison of GARCH Family Models in Value at Risk and Conditional Value at Risk Estimation _ the Case of the Tehran Exchange Price Index





Abstract:

Several criteria have been introduced in recent decades to measure risk, and each of them is somehow viewed as uncertainty, and some of them are complementary. By the advancement of mathematical sciences and statistics in the field of evaluating undesirable risks, in 1996 the criterion of Value at Risk was introduced to measure risk that was welcomed by investors and financial analysts.

Therefore, the purpose of this study is to compare the average values of Value at Risk and Conditional Value at Risk estimated by five of GARCH patterns for the Tehran Stock Exchange Index, which is the property of Arch is seen in them. According to the case of index fat tail in the probability distribution tail of financial data confirmed, in addition to the normal distribution, the T_Studend distribution is used.

The result suggest that, T_Student distribution has a more favorable performance to estimation Value at Risk and Conditional Value at Risk. Also, there is no significant difference between the mean of Value at Risk and Conditional Value at Risk that estimated by different GARCH patterns.



Keywords: Value at Risk, Conditional Value at Risk, GARCH, models, Tehran Stock Exchange Index,

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Comparison of GARCH Family Models in Value at Risk and Conditional Value at Risk Estimation _ the Case of the Tehran Exchange Price Index

نویسندگان [English]

  • Leila Torki 1
  • Neda Esmaeli 2
  • Masoumeh Haghparast 3

1 Assistant Professor, Department of Economics, Faculty of Administrative Sciences and Economics, University of Isfahan

2 Assistant Professor, Faculty of Mathematics and Statistics, Department of Applied Mathematics and Computer Science, University of Isfahan, , Isfahan, Iran

3 Ms in Economics, Department of Economics, Faculty of Administrative Sciences and Economics, University of Isfahan

چکیده [English]

Abstract:

Several criteria have been introduced in recent decades to measure risk, and each of them is somehow viewed as uncertainty, and some of them are complementary. By the advancement of mathematical sciences and statistics in the field of evaluating undesirable risks, in 1996 the criterion of Value at Risk was introduced to measure risk that was welcomed by investors and financial analysts.

Therefore, the purpose of this study is to compare the average values of Value at Risk and Conditional Value at Risk estimated by five of GARCH patterns for the Tehran Stock Exchange Index, which is the property of Arch is seen in them. According to the case of index fat tail in the probability distribution tail of financial data confirmed, in addition to the normal distribution, the T_Studend distribution is used.

The result suggest that, T_Student distribution has a more favorable performance to estimation Value at Risk and Conditional Value at Risk. Also, there is no significant difference between the mean of Value at Risk and Conditional Value at Risk that estimated by different GARCH patterns.



Comparison of GARCH Family Models in Value at Risk and Conditional Value at Risk Estimation _ the Case of the Tehran Exchange Price Index





Abstract:

Several criteria have been introduced in recent decades to measure risk, and each of them is somehow viewed as uncertainty, and some of them are complementary. By the advancement of mathematical sciences and statistics in the field of evaluating undesirable risks, in 1996 the criterion of Value at Risk was introduced to measure risk that was welcomed by investors and financial analysts.

Therefore, the purpose of this study is to compare the average values of Value at Risk and Conditional Value at Risk estimated by five of GARCH patterns for the Tehran Stock Exchange Index, which is the property of Arch is seen in them. According to the case of index fat tail in the probability distribution tail of financial data confirmed, in addition to the normal distribution, the T_Studend distribution is used.

The result suggest that, T_Student distribution has a more favorable performance to estimation Value at Risk and Conditional Value at Risk. Also, there is no significant difference between the mean of Value at Risk and Conditional Value at Risk that estimated by different GARCH patterns.



Keywords: Value at Risk, Conditional Value at Risk, GARCH, models, Tehran Stock Exchange Index,













Comparison of GARCH Family Models in Value at Risk and Conditional Value at Risk Estimation _ the Case of the Tehran Exchange Price Index





Abstract:

Several criteria have been introduced in recent decades to measure risk, and each of them is somehow viewed as uncertainty, and some of them are complementary. By the advancement of mathematical sciences and statistics in the field of evaluating undesirable risks, in 1996 the criterion of Value at Risk was introduced to measure risk that was welcomed by investors and financial analysts.

Therefore, the purpose of this study is to compare the average values of Value at Risk and Conditional Value at Risk estimated by five of GARCH patterns for the Tehran Stock Exchange Index, which is the property of Arch is seen in them. According to the case of index fat tail in the probability distribution tail of financial data confirmed, in addition to the normal distribution, the T_Studend distribution is used.

The result suggest that, T_Student distribution has a more favorable performance to estimation Value at Risk and Conditional Value at Risk. Also, there is no significant difference between the mean of Value at Risk and Conditional Value at Risk that estimated by different GARCH patterns.



Keywords: Value at Risk, Conditional Value at Risk, GARCH, models, Tehran Stock Exchange Index,

کلیدواژه‌ها [English]

  • Keywords: Value at Risk
  • Conditional Value at Risk
  • GARCH
  • models
  • Tehran Stock Exchange Index